QuantLib_MCEuropeanGJRGARCHEngine man page

MCEuropeanGJRGARCHEngine< RNG, S > — Monte Carlo GJR-GARCH-model engine for European options.

Synopsis

#include <ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp>

Inherits MCVanillaEngine< MultiVariate, RNG, S >.

Public Types

typedef MCVanillaEngine< MultiVariate, RNG, S >::path_pricer_type path_pricer_type

Public Member Functions

MCEuropeanGJRGARCHEngine (const boost::shared_ptr< GJRGARCHProcess > &, Size timeSteps, Size timeStepsPerYear, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

Additional Inherited Members

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics>

class QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >" Monte Carlo GJR-GARCH-model engine for European options.

Tests

the correctness of the returned value is tested by reproducing results available in web/literature

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MCEuropeanGJRGARCHEngine(3) is an alias of QuantLib_MCEuropeanGJRGARCHEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib